Details about Rafael Serrano

Access statistics for papers by Rafael Serrano.

Last updated 2024-12-09. Update your information in the RePEc Author Service.

Short-id: pse775

Working Papers

2024

1. Existence of optimal controls for stochastic Volterra equations
   Papers, arXiv.org
   Also in Working Papers, HAL (2022)

2023

2. Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
   Papers, arXiv.org
   Also in Documentos de Trabajo, Universidad del Rosario (2023)
   See also Journal Article Optimal investment with insurable background risk and nonlinear portfolio allocation frictions, Applied Mathematics and Computation, Elsevier (2025) (2025)

2021

3. ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach
   Papers, arXiv.org

2020

4. Optimal control of investment, premium and deductible for a non-life insurance company
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Optimal control of investment, premium and deductible for a non-life insurance company, Insurance: Mathematics and Economics, Elsevier (2021) View citations (1) (2021)

2015

5. Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
   Papers, arXiv.org

2014

6. Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors
   Documentos de Trabajo, Universidad del Rosario
7. Ecuaciones Diferenciales Estocásticas con Condición Final y Soluciones de Viscosidad de EDPS Semilineales de Segundo Orden
   Documentos de Trabajo, Universidad del Rosario
8. Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
   Papers, arXiv.org View citations (1)

Journal Articles

2025

1. Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
   Applied Mathematics and Computation, 2025, 485, (C)
   See also Working Paper Optimal investment with insurable background risk and nonlinear portfolio allocation frictions, Papers (2023) (2023)

2023

2. Climbing the income ladder: Search and investment in a regime-switching affine income model
   Finance Research Letters, 2023, 58, (PA)

2021

3. Optimal control of investment, premium and deductible for a non-life insurance company
   Insurance: Mathematics and Economics, 2021, 101, (PB), 384-405 View citations (1)
   See also Working Paper Optimal control of investment, premium and deductible for a non-life insurance company, CREATES Research Papers (2020) (2020)
4. PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK
   International Journal of Theoretical and Applied Finance (IJTAF), 2021, 24, (01), 1-34